10 Dec 2012

100 Years of Trend Following

When it comes to evaluating the past performance of managed futures, the major indices only go back a few decades. But AQR Capital Management recently released a research paper that goes back much further, applying a trend following model to more than 100 years of data – and their efforts have yielded some fascinating insights.

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17 Dec 2012

Hoping for a Hot December

It may have been the hottest year on record outside, but the same cannot be said for manage futures. CTA performance has been chilly for most of the year, but as we head into the final weeks of 2012 some programs appear to be heating up. Is this the hot streak we’ve been waiting for?

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27 Dec 2012

Mythbusting Fundbusters

It’s been interesting to sift through all the different theories being floated about why managed futures is where it is today, but none have made us laugh quite as hard as this one: that academic researchers and bloggers are killing the traders’ edge by publishing their methods.

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